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CDO surfaces dynamics
Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013
Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has …
Persistent link: https://www.econbiz.de/10009763975
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CDO pricing with copulae
Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose …
Persistent link: https://www.econbiz.de/10003814501
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few …
Persistent link: https://www.econbiz.de/10003871765
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Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - In: Journal of empirical finance 24 (2013), pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis … credit ratings have integrated more in crisis. By applying the Panel Analysis of Non-stationarity in Idiosyncratic and Common … contributes to a credit risk management task and also coincides with the missions of Basel III since the more integrated CDS …
Persistent link: https://www.econbiz.de/10010399421
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Localising forward intensities for multiperiod corporate default
Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010403045
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Estimation of default probabilities with Support Vector Machines
Chen, Shiyi (contributor); Härdle, Wolfgang (contributor);  … - 2006
Predicting default probabilities is important for firms and banks to operate successfully and to estimate their specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so called Support Vector Machine (SVM) to...
Persistent link: https://www.econbiz.de/10003402291
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Applied quantitative finance : theory and computational tools
Härdle, Wolfgang; Stahl, Gerhard - 2002
Persistent link: https://www.econbiz.de/10001676122
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Default risk calculation based on predictor selection for the Southeast Asian industry
Härdle, Wolfgang; Prastyo, Dedy Dwi - 2013
default prediction provides a better insight into fundamentals of credit risk analysis. Default prediction and default …, and Thailand. The relevant default predictors over the countries reveal that credit risk analysis is sample specific. A …
Persistent link: https://www.econbiz.de/10009779289